when I am developing on an application, I often work in little steps
(make a change, build it, test it, make the next change, build this, ...).

First I did this by typing "make && make install" at my build-dir after
each change on the app. The make-process takes about 1 second, the
install about ten. When i am working in steps where i have do this about
one time a minute the time to install is a bit annoying.

At the moment, I got rid of the problem by making a symlink (for example
apps/plugins/lamp.rock to simdisk/.rockbox/rocks/apps), so that I just
have to type make after changing the lamp.c-file.

Is there a better way to avoid typing make install each time I want to
test a new build?

If not, I want to propose creating a make-target like "make links" or
so, which works like make install or fullinstall, which does not copy
all the files but symlinking where it possible.
unfortunately I am not fit enough with the Makefiles to do this for
myself, so I hope somebody can do this for me.